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Giovanni De Luca

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Personal Details

First Name:Giovanni
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Last Name:De Luca
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RePEc Short-ID:pde357
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Homepage:http://www.economia.uniparthenope.it/siti_docenti/Deluca/home.html
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Location: Napoli, Italy
Homepage: http://www.disaq.uniparthenope.it/
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Postal: Via Generale Parisi, 13 - 80132 Napoli
Handle: RePEc:edi:aqnavit (more details at EDIRC)
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  1. De Luca, Giovanni & Zuccolotto, Paola, 2013. "A Conditional Value-at-Risk Based Portfolio Selection With Dynamic Tail Dependence Clustering," MPRA Paper 50129, University Library of Munich, Germany.
  2. Giovanni De Luca & Giampiero Gallo, 2010. "A Time-varying Mixing Multiplicative Error Model for Realized Volatility Abstract: In this paper we model the dynamics of realized volatility as a Multiplicative Error Model with a mixture of distribu," Econometrics Working Papers Archive wp2010_03, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  3. Giovanni De Luca & Giampiero M. Gallo, 2005. "Time-varying Mixing Weights in Mixture Autoregressive Conditional Duration Models," Econometrics Working Papers Archive wp2005_11, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
  1. Giovanni De Luca & Alfonso Carfora, 2014. "Predicting U.S. recessions through a combination of probability forecasts," Empirical Economics, Springer, vol. 46(1), pages 127-144, February.
  2. Giovanni De Luca & Paola Zuccolotto, 2011. "A tail dependence-based dissimilarity measure for financial time series clustering," Advances in Data Analysis and Classification, Springer, vol. 5(4), pages 323-340, December.
  3. Giovanni Luca & Giampiero Gallo, 2009. "Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 102-120.
  4. Giovanni De Luca & Giorgia Rivieccio, 2009. "Archimedean copulae for risk measurement," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(8), pages 907-924.
  5. De Luca, Giovanni & Zuccolotto, Paola, 2006. "Regime-switching Pareto distributions for ACD models," Computational Statistics & Data Analysis, Elsevier, vol. 51(4), pages 2179-2191, December.
  6. De Luca Giovanni & Gallo Giampiero M., 2004. "Mixture Processes for Financial Intradaily Durations," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(2), pages 1-20, May.
  7. Giovanni De Luca & Paola Zuccolotto, 2003. "Finite and infinite mixtures for financial durations," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(3), pages 431-455.
  8. Bartolucci, F. & De Luca, G., 2003. "Likelihood-based inference for asymmetric stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 42(3), pages 445-449, March.
3 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (2) 2007-01-28 2010-05-08. Author is listed
  2. NEP-ETS: Econometric Time Series (2) 2007-01-28 2010-05-08. Author is listed
  3. NEP-FOR: Forecasting (1) 2010-05-08. Author is listed
  4. NEP-MST: Market Microstructure (1) 2007-01-28. Author is listed
  5. NEP-ORE: Operations Research (1) 2010-05-08. Author is listed
  6. NEP-RMG: Risk Management (1) 2013-10-02. Author is listed

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